The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation
实证检验了美国股票型养老金基金经理的证券选择和市场时机选择能力，发现平均而言证券选择为正、时机选择为负，且两者受基准选择影响，最佳经理能产生显著的超额收益。
ABSTRACT This paper presents an empirical examination of the selectivity and market timing performance of a sample of U.S. equity pension fund managers. Regardless of the choice of benchmark portfolio or estimation model, the average selectivity measure is positive and the average timing measure is negative. However both selectivity and timing appear to be somewhat sensitive to the choice of a benchmark when managers are classified by investment style. Meta‐analysis revealed some real variation around the mean values for each measure. The 80 percent probability intervals for selectivity revealed that the best managers produced substantial risk‐adjusted excess returns. We also found a negative correlation between selectivity and timing, but we argue that the observed negative correlation in our data is largely an artifact of negatively correlated sampling errors for the two estimates.